Saddlepoint approximations to option prices (Q1305423)
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scientific article; zbMATH DE number 1346306
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Saddlepoint approximations to option prices |
scientific article; zbMATH DE number 1346306 |
Statements
Saddlepoint approximations to option prices (English)
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27 June 2001
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saddle-point approximations
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distribution of a random variables
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Brownian motion
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option-pricing
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Lévy processes
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Fourier transform
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